1. Install the full Windows distribution in C:\Program Files\vim\vim## where ## is the version (e.g. 63 for Vim 6.3, or 70aa for Vim 7.00aa ALPHA).

2. Install the cygwin executables (of the same version and sub-version; the patchlevel may be different), in /bin; don't install the "cygwin runtime files".

Repeat either step 1 or step 2 at each upgrade.

3. Set VIM (in the Windows environment) to C:\Program Files\vim and HOME to your home directory

4. In the cygwin startup files (e.g. ~/.bash_profile) add the following lines:

export VIM=`cygpath -u $VIM`
export HOME=`cygpath -u $HOME`

5. All runtime files must be in Unix format. If they aren't, do the following in vim (version 7 or later) for native-Windows (it takes some time but it's fairly automatic). (On version 6 it's possible but since ** wildcards are not recognised it is more work.) (See also Installing several releases in parallel, even with matchit about how to install several _different_ versions in parallel.)